Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0085 |
| Annualized Std Dev | 0.1405 |
| Annualized Sharpe (Rf=0%) | -0.0606 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5586.0000 |
| NAs | 1.0000 |
| Minimum | -0.1480 |
| Quartile 1 | -0.0034 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0039 |
| Maximum | 0.1239 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0001 |
| Stdev | 0.0088 |
| Skewness | -1.3110 |
| Kurtosis | 51.8986 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0066 |
| Gain Deviation | 0.0065 |
| Loss Deviation | 0.0081 |
| Downside Deviation (MAR=210%) | 0.0116 |
| Downside Deviation (Rf=0%) | 0.0066 |
| Downside Deviation (0%) | 0.0066 |
| Maximum Drawdown | 0.5553 |
| Historical VaR (95%) | -0.0116 |
| Historical ES (95%) | -0.0208 |
| Modified VaR (95%) | -0.0083 |
| Modified ES (95%) | -0.0083 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-01-05 | 2008-10-10 | 2012-06-27 | -0.5553 | 3391 | 2456 | 935 |
| 2012-11-30 | 2020-03-18 | NA | -0.4233 | 2090 | 1836 | NA |
| 2012-08-07 | 2012-08-22 | 2012-09-25 | -0.0462 | 35 | 12 | 23 |
| 2012-10-26 | 2012-11-05 | 2012-11-19 | -0.0359 | 15 | 5 | 10 |
| 2012-10-09 | 2012-10-12 | 2012-10-25 | -0.0334 | 13 | 4 | 9 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 0.4 | -0.4 | -0.8 | -1.3 | 0.5 | 0.5 | 0 | 1 | 0.5 | 0 | 1.1 | 1.4 |
| 2000 | 0 | -0.5 | 0 | 0 | 1.2 | 0.6 | 0 | 0.5 | 0 | 0 | 0.5 | 1 | 3.3 |
| 2001 | -0.3 | 0 | 0.7 | -0.4 | -0.6 | 0.1 | 0.2 | 0.1 | 1 | 0.1 | -0.1 | 0.6 | 1.4 |
| 2002 | -0.3 | 0.1 | -0.4 | 0.2 | 0.5 | 1 | 0.7 | 0.5 | -0.3 | 0.1 | 0.5 | -0.2 | 2.2 |
| 2003 | 0.3 | 0.1 | 0.5 | -0.1 | 0.4 | 0.6 | 0.7 | 0.2 | 0.1 | 0.5 | -1.6 | 0 | 1.7 |
| 2004 | 0.1 | 0.3 | 0.7 | 0.5 | -0.3 | -0.2 | 0.2 | 0.2 | -0.4 | -0.2 | -0.1 | 0.5 | 1.2 |
| 2005 | -0.3 | 0.2 | 0.4 | 0.4 | 0.4 | -0.3 | 0.1 | 0.4 | 0.1 | 0.1 | 0.7 | -0.1 | 2.1 |
| 2006 | -0.3 | -0.7 | 0 | -0.1 | 0.7 | 0.4 | 0.4 | 0.6 | -0.1 | 0.1 | 0.2 | 1.1 | 2.3 |
| 2007 | 0 | -0.1 | 0.3 | 0.6 | -0.5 | 0.9 | 0.2 | 1.2 | 0.3 | -0.5 | 0.6 | 2 | 5.1 |
| 2008 | 0.7 | -1.1 | -0.2 | 0 | -0.2 | 0.2 | 0.1 | -0.2 | 2.7 | -0.6 | -1.8 | 1.9 | 1.4 |
| 2009 | 0.2 | 1.6 | 0.3 | -0.1 | -0.3 | 0.1 | 1 | 0.2 | 0.5 | -0.7 | 1.5 | 0.9 | 5.3 |
| 2010 | -0.2 | -0.2 | 0.1 | 0.2 | 0.3 | -0.1 | 1.1 | -0.8 | 0.7 | 0.5 | -1.6 | 2.6 | 2.6 |
| 2011 | 0.5 | 0.3 | -0.1 | 1 | 0.4 | -0.1 | 1.6 | -0.3 | -0.6 | 0.5 | 1.3 | 0.5 | 5.3 |
| 2012 | -0.5 | 0.4 | 0.5 | 0.5 | -0.4 | -0.2 | 0.6 | 0.6 | 0.6 | 0.3 | -2.4 | -0.8 | -0.9 |
| 2013 | -0.1 | 0.2 | 1.3 | 0.5 | -2.7 | -0.4 | -0.6 | 0.2 | -0.4 | -1 | -0.2 | -1.4 | -4.5 |
| 2014 | 0.1 | -0.1 | -0.8 | 0.4 | -0.1 | -0.6 | 0.3 | 0.7 | 0.5 | -1.6 | -0.4 | 0.6 | -1 |
| 2015 | 0.3 | 0.3 | 0.6 | -1.1 | 0 | -0.3 | 1 | 0 | 0.2 | 0.9 | 0.2 | -0.1 | 2 |
| 2016 | 0.7 | 0.8 | 0.2 | -0.3 | 0.2 | 0.3 | -1.7 | -0.3 | 0.1 | 0 | -1.4 | 0.3 | -1.1 |
| 2017 | -0.2 | -0.8 | -0.7 | 0.4 | 0.4 | -0.4 | 1.3 | 0.3 | 0.1 | 0.3 | 0.6 | 0 | 1.5 |
| 2018 | 0.5 | -0.1 | 1.3 | 0.1 | -0.1 | -0.1 | -0.7 | 0 | -0.1 | -0.7 | -0.6 | -0.3 | -0.8 |
| 2019 | 0.6 | 0.6 | -0.6 | 0.4 | 0.2 | -0.4 | 0.3 | 0.3 | 0.5 | 0.4 | -0.4 | 0.4 | 2.3 |
| 2020 | 0.3 | -4.6 | -4.6 | 0.6 | 0.8 | -0.1 | 0 | 1 | 0 | 0.2 | 0 | 0.6 | -6.1 |
| 2021 | 0.5 | 0.2 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
